Rudolph appeared in the October 1, 2005 episode of SNL, the first of the 2005-2006 season, before going on maternity leave. She returned on February 4, 2006.

Rudolph's musical talents were frequently employed on SNL. She sang as Beyoncé Knowles in the Prince Show sketches, as the "Space Creature," in the Gays in Space sketches (except for the one on the Season 31 episode hosted by Peter Sarsgaard, because it aired around the time Rudolph was on maternity leave. Will Forte substituted Rudolph for that episode) and elsewhere. Her chameleon-like ability to change her looks, and her impressive command of many accents also led to her playing an unusually wide range of ethnicities on the show, often with only a change of wigs; she has been white (Paris Hilton, Liza Minnelli, Barbra Streisand, Lisa Kudrow), Asian (Lucy Liu, Lisa Ling), black (Diana Ross, Tina Turner), Latina (Jennifer Lopez, Charo), as well as people of mixed cultural backgrounds. As "Nooni Schoener," Rudolph, along with Fred Armisen (who, like Rudolph, is also a multiracial SNL castmember with a chameleon-like tendency to play any race or ethnicity), created a couple from an unspecified Scandinavian country, who have unplaceable accents and bewilderingly foreign manners. Rudolph was also able to play male characters (Scott Joplin, Justin Guarini, Mario Vazquez) in addition to playing females.

Her final show was on November 3, 2007, with host Brian Williams and musical guest Feist, the last episode before the Writer's Strike. She returned on October 25, 2008, in a featured guest appearance as Michelle Obama, and sang a duet with Kenan Thompson about Amy Poehler's newborn. She also appeared in two sketches in the 2008/2009 season finale with Will Ferrell as host and musical guest Green Day. She appeared in a Weekend Update Thursday sketch during the fall 2009/10 season as Oprah Winfrey speaking on behalf of the 2016 Olympics bid.